On the prediction of multivariate arma processes with a time dependent covariance structure
type: Item
instance of: scholarly article
title: On the prediction of multivariate arma processes with a time dependent covariance structure
zbMATH Open document ID: 0642.62052
DOI: 10.1080/03610928808829607
publication date: 1988-01-01T00:00:00Z
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 4046925
zbMATH Keywords: time dependent covariance structure
zbMATH Keywords: nonstationary
zbMATH Keywords: multivariate process
zbMATH Keywords: Hilbert space
zbMATH Keywords: time series
zbMATH Keywords: m-variate ARMA model
zbMATH Keywords: time dependent coefficient matrices
zbMATH Keywords: time-dependent variance
zbMATH Keywords: regularity conditions
zbMATH Keywords: second-order solutions
zbMATH Keywords: one sided moving average
zbMATH Keywords: one sided Green's matrices
zbMATH Keywords: prediction
zbMATH Keywords: examples
author: Shelton Peiris
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1080/03610928808829607
OpenAlex ID: W2171132441
cites work: Mixed autoregressive-moving average multivariate processes with time- dependent coefficients
cites work: Nonstationary Yule-Walker equations
cites work: Spectral factorization of nonstationary moving average processes
cites work: Non-stationary q-dependent processes and time-varying moving-average models: invertibility properties and the forecasting problem
cites work: On Linear Difference Equations
cites work: AUTOREGRESSIVE PROCESSES WITH A TIME DEPENDENT VARIANCE
cites work: Some Results on Non Stationary First Order Autoregression
published in: Communications in Statistics: Theory and Methods
description: scientific article